crisis also the state of the world financial system have strong explanatory power for the behavior of CDS spreads, and that … risk of default to be low in case of advanced economies, our results suggest the presence of an important economic channel … in adverse economic times: a private-to-public risk transfer through which market participants incorporate their …

an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived … default risk by acting as a disciplinary device for the sovereign. In this paper we empirically analyze the impact of … exogenous changes in bank exposure on the risk position of the sovereign within a Markov switching structural vector …